The asymptotic behaviors for least square estimation of multi-casting autoregressive processes

Mingzhi Mao

Journal of Multivariate Analysis, 2014, vol. 129, issue C, 110-124

Abstract: This paper mainly discusses the asymptotic properties of multi-casting autoregressive processes. By using the m-dependence of random vectors, we prove that the least squares (LS) estimator of the unknown parameters satisfies the moderate deviation principle. Two examples of regular cases are also presented.

Keywords: Moderate deviation; Autoregressive process; m-dependent; Gärtner–Ellis Theorem (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:129:y:2014:i:c:p:110-124

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DOI: 10.1016/j.jmva.2014.04.014

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